On limiting distributions in explosive autoregressive processes

DOI10.1016/S0167-7152(97)00111-9zbMATH Open0909.62011MaRDI QIDQ1379906FDOQ1379906

Authors: Michael J. Monsour, Piotr W. Mikulski 

Publication date: 8 April 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

characteristic rootscanonical formJordan normalpure explosive autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Matrix Analysis
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Estimation of the parameters of stochastic difference equations
• Asymptotic properties of dynamic stochastic parameter estimates. III
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Orthonormal Banach systems with applications to linear processes

Cited In (9)

• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• Explosive strong periodic autoregression with multiplicity one
• Decomposition of an autoregressive process into first order processes
• Title not available (Why is that?)
• Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling
• Asymptotics of regressions with stationary and nonstationary residuals.
• Weak convergence of the residual empirical process in explosive autoregression
• On the sample variance of explosive random coefficient autoregressive processes
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors

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